Old National Bancorp Preferred Stock Market Value
| ONBPP Preferred Stock | USD 25.45 0.15 0.59% |
| Symbol | Old |
Old National 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Old National's preferred stock what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Old National.
| 12/09/2023 |
| 12/03/2024 |
If you would invest 0.00 in Old National on December 9, 2023 and sell it all today you would earn a total of 0.00 from holding Old National Bancorp or generate 0.0% return on investment in Old National over 360 days. Old National is related to or competes with Old National, Pinnacle Financial, Heartland Financial, and OceanFirst Financial. Old National Bancorp operates as the bank holding company for Old National Bank that provides various financial services... More
Old National Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Old National's preferred stock current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess Old National Bancorp upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.6713 | |||
| Information Ratio | (0.11) | |||
| Maximum Drawdown | 3.96 | |||
| Value At Risk | (1.02) | |||
| Potential Upside | 1.35 |
Old National Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Old National's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Old National's standard deviation. In reality, there are many statistical measures that can use Old National historical prices to predict the future Old National's volatility.| Risk Adjusted Performance | 0.0411 | |||
| Jensen Alpha | 0.0133 | |||
| Total Risk Alpha | (0.08) | |||
| Sortino Ratio | (0.13) | |||
| Treynor Ratio | 0.2049 |
Old National Bancorp Backtested Returns
Currently, Old National Bancorp is very steady. Old National Bancorp maintains Sharpe Ratio (i.e., Efficiency) of 0.0648, which implies the firm had a 0.0648% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Old National Bancorp, which you can use to evaluate the volatility of the company. Please check Old National's Coefficient Of Variation of 1844.99, risk adjusted performance of 0.0411, and Semi Deviation of 0.6099 to confirm if the risk estimate we provide is consistent with the expected return of 0.0482%. Old National has a performance score of 5 on a scale of 0 to 100. The company holds a Beta of 0.15, which implies not very significant fluctuations relative to the market. As returns on the market increase, Old National's returns are expected to increase less than the market. However, during the bear market, the loss of holding Old National is expected to be smaller as well. Old National Bancorp right now holds a risk of 0.74%. Please check Old National Bancorp value at risk, and the relationship between the jensen alpha and skewness , to decide if Old National Bancorp will be following its historical price patterns.
Auto-correlation | 0.71 |
Good predictability
Old National Bancorp has good predictability. Overlapping area represents the amount of predictability between Old National time series from 9th of December 2023 to 6th of June 2024 and 6th of June 2024 to 3rd of December 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Old National Bancorp price movement. The serial correlation of 0.71 indicates that around 71.0% of current Old National price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.71 | |
| Spearman Rank Test | 0.62 | |
| Residual Average | 0.0 | |
| Price Variance | 0.22 |
Old National Bancorp lagged returns against current returns
Autocorrelation, which is Old National preferred stock's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Old National's preferred stock expected returns. We can calculate the autocorrelation of Old National returns to help us make a trade decision. For example, suppose you find that Old National has exhibited high autocorrelation historically, and you observe that the preferred stock is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
Old National regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Old National preferred stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Old National preferred stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Old National preferred stock over time.
Current vs Lagged Prices |
| Timeline |
Old National Lagged Returns
When evaluating Old National's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Old National preferred stock have on its future price. Old National autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Old National autocorrelation shows the relationship between Old National preferred stock current value and its past values and can show if there is a momentum factor associated with investing in Old National Bancorp.
Regressed Prices |
| Timeline |
Pair Trading with Old National
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if Old National position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Old National will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to Old National could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Old National when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Old National - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Old National Bancorp to buy it.
The correlation of Old National is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Old National moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Old National Bancorp moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for Old National can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Additional Tools for Old Preferred Stock Analysis
When running Old National's price analysis, check to measure Old National's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy Old National is operating at the current time. Most of Old National's value examination focuses on studying past and present price action to predict the probability of Old National's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Old National's price. Additionally, you may evaluate how the addition of Old National to your portfolios can decrease your overall portfolio volatility.